Is there a way to set the direction of the sun light on an object (without rotations)?
One way to do this is with a Track To constraint:


Select the sun lamp
&#8679; Shift select the object you wish to point the lamp at
Press &#9096; CtrlT and choose Track To Constraint.


The sun lamp will now always "look" at that object, so you can move it around with G for easy adjustment.

You can adjust the constraint (or remove it) in the Constraints tab of the Properties area when the sun lamp is active: